This paper investigates the nonlinear Granger causality and spillover effects among geopolitical risk, crude oil and Chinese disaggregated sectoral stock markets by using a multivariate nonlinear Granger causality test and connectedness network analysis. The nonlinear Granger causality and...

This paper considers an optimal investment and reinsurance problem involving a defaultable security for an insurer under the mean-variance criterion in a jump-diffusion risk model. The insurer is allowed to purchase proportional reinsurance or acquire new business and invest in a financial...

This paper considers the multi-period optimal strategies for an investment-only problem and an investment–consumption problem. The financial market is regime-switching and consists of one risk-free asset and multiple risky assets. The state process of the financial market is modeled by a...

The optimal excess-of-loss reinsurance and investment strategies under a constant elasticity of variance (CEV) model for an insurer are considered in this paper. Assume that the insurer’s surplus process is approximated by a Brownian motion with drift, the insurer can purchase excess-of-loss...

This paper studies an optimal investment and reinsurance problem incorporating jumps for mean–variance insurers within a game theoretic framework and aims to seek the corresponding time-consistent strategies. Specially, the insurers are allowed to purchase proportional reinsurance, acquire new...

This paper considers the optimal time-consistent investment and reinsurance strategies for an insurer under Heston’s stochastic volatility (SV) model. Such an SV model applied to insurers’ portfolio problems has not yet been discussed as far as we know. The surplus process of the insurer is...

This paper considers a robust optimal reinsurance and investment problem under Heston’s Stochastic Volatility (SV) model for an Ambiguity-Averse Insurer (AAI), who worries about model misspecification and aims to find robust optimal strategies. The surplus process of the insurer is assumed to...

This paper investigates the optimal time-consistent policies of an investment-reinsurance problem and an investment-only problem under the mean-variance criterion for an insurer whose surplus process is approximated by a Brownian motion with drift. The financial market considered by the insurer...